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The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
(Pontificia Universidad Católica del Peru. Departamento de Economía, 2018-11)
This paper analyzes the e§ect of loan supply shocks on the real economic activity of PaciÖc Alliance
countries. The econometric approach is a Time-Varying Parameter VAR with Stochastic Volatility
(TVP-VAR-SV), which is ...
Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2023-01)
This study assesses the evolving impact of fiscal policy on Peru’s economic activity in 1993Q4-2018Q2 using unrestricted and restricted TVP-VAR-SV models according to the approach proposed by Chan and Eisenstat (2018a). ...
Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models
(Pontificia Universidad Católica del Perú, 2022-03)
This article provides empirical evidence on the evolution of the impact of external shocks on the
macroeconomic dynamics of the Pacific Alliance (PA) countries. For this purpose, we estimate
a family of VAR models that ...
Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-01)
This article employs a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to estimate the impact of external financial uncertainty shocks on a set of macroeconomic variables in Peru ...
Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-03)
This study uses a family of VAR models with time-varying coefficients and stochastic volatility
(TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in
1992Q1-2017Q1. The statistical ...
Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-05)
We use a set of VAR models with time-varying parameters and stochastic volatility (TVP-VARSV) to estimate the evolution of the exchange rate pass-through (ERPT) into prices for Peru
over 1995Q2-2019Q4. According to two ...